Exploring the link between information quality and systematic risk

Cai, Charlie X., Faff, Robert W., Hillier, David and Mohamed, Suleiman (2007) Exploring the link between information quality and systematic risk. Journal of Financial Research, 30 3: 335-353. doi:10.1111/j.1475-6803.2007.00217.x

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Author Cai, Charlie X.
Faff, Robert W.
Hillier, David
Mohamed, Suleiman
Title Exploring the link between information quality and systematic risk
Journal name Journal of Financial Research   Check publisher's open access policy
ISSN 0270-2592
Publication date 2007-09
Sub-type Article (original research)
DOI 10.1111/j.1475-6803.2007.00217.x
Volume 30
Issue 3
Start page 335
End page 353
Total pages 19
Place of publication Hoboken, NJ, United States
Publisher Wiley-Blackwell Publishing
Language eng
Abstract We examine the effect of information quality around earnings announcements and insider trading events on equity systematic risk. Our results indicate that observed systematic risk significantly increases after these events. Consistent with the insights provided by our framework, the change in systematic risk is increasing in the ratio of event-related to pre-event information quality. Our results have implications for all empirical work attempting to model security returns around firm and macroeconomic announcements. © 2007 The Southern Finance Association and the Southwestern Finance Association.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
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Citation counts: Scopus Citation Count Cited 2 times in Scopus Article | Citations
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Created: Fri, 04 Mar 2011, 11:42:31 EST by Karen Morgan on behalf of UQ Business School